匯率連動平均利率選擇權：對數常態市場利率模型

Quanto Average Interest Rate Options in a Lognormal Interest Rate Market Model

吳庭斌(Ting-Pin Wu) ； 陳松男(Son-Nan Chen)

《財務金融學刊》 16卷2期 (2008/06) Pp. 35-67

https://doi.org/10.6545/JFS.2008.16(2).2

摘要

本文根據Amin和Jarrow（1991），將單一貨幣的LIBOR市場模型擴充成跨貨幣的LIBOR市場模型，並在此模型架構下，分別以Vorts（1992）和Levy（1992）所提出的近似方法，求得匯率連動平均利率選擇的近似定價公式，此兩種近似公式經畐蒙地卡羅模擬驗證，準確性非常高，因此對實務應用上，有相當的幫助。

關鍵字

LIBOR市場模型 ； 平均利率選擇權 ； 匯率連動選擇權

並列摘要

This paper extends the single-currency LMM to the cross-currency LMM based on the Amin and Jarrow (1991) framework, and the resulting model is applied to deriving the approximate pricing formula of the quanto average interest options via two different approximation approaches, presented by Vorst (1992) and Levy (1992). These two approximation formulas have been examined to be very accurate as compared with Monte Carlo simulation. The model calibration procedure is also presented in detail for practical implementation.

並列關鍵字

LIBOR Market Model ； Average Interest Rate Options ； Quanto Options

參考文獻

Amin K. I.,Jarrow R.(1991).Pircing foreign currency options under stochastic interest rates.Journal of International Money and Finance.10,310-329.

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Black, F.,Scholes, M.(1973).The pricing of options and corporate liabilities.Journal of Political Economy.81,637-654.

Brace, A.,Dun, T.A.,Barton, G.(1998).Towards a central interest rate model.Paper presented at the Conference Global Derivatives.(Paper presented at the Conference Global Derivatives).

Brace, A.,Gatarek, D.,Musiela, M.(1997).The market model of interest rate dynamics.Mathematical Finance.7,127-155.